How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?
By Tommi Johnsen, PhD|January 11th, 2021|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|
Liquidity risk and exchange-traded fund returns, variances, and tracking errors [...]
Value and Momentum and Investment Anomalies
By Larry Swedroe|January 7th, 2021|Factor Investing, Research Insights, Larry Swedroe, Value Investing Research, Momentum Investing Research|
The predictive abilities of value and momentum strategies are among [...]
DIY Asset Allocation Weights: January 2021
By Ryan Kirlin|January 5th, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation [...]
How Powerful is the Wealth Effect?
By Wesley Gray, PhD|January 4th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Investment Advisor Education, Academic Research Insight|
Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani [...]
The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers
By Wesley Gray, PhD|December 31st, 2020|Research Insights, Conferences|
The American Finance Association Annual Meetings are here.[ref]here is information on the [...]
Trend-Following Filters: Part 1/2
By Henry Stern|December 29th, 2020|Empirical Methods, Research Insights, Trend Following, Guest Posts|
1. Introduction Many traders use strategies based on trends that [...]
P-Hacking Via Academic Finance Research Conferences
By Tommi Johnsen, PhD|December 28th, 2020|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights|
Documentation of the File Drawer Problem at Finance Conferences: A [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
By Jonathan Seed|December 23rd, 2020|Factor Investing, Research Insights, Guest Posts, Other Insights, Momentum Investing Research|
“The plural of anecdote is not data” I’ve used this quote [...]
Investing Based on Who you Follow on Social Media? A Real Thing?
By Wesley Gray, PhD|December 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt [...]
Is Size a Useful Investing Factor or Not?
By Larry Swedroe|December 18th, 2020|Research Insights, Larry Swedroe, Factor Investing, Other Insights, Size Investing Research|
In his famous 1981 paper, "The Relationship Between Return and [...]